Current Volume 9
Abstract
This research paper investigates the volatility and return dynamics of six major Indian stock market indices BSE Sensex, NSE Nifty 50, Nifty Bank, Nifty IT, Nifty Midcap 150, and Nifty Small cap 250 — over the period January 2020 to March 2026. The study spans one of the most turbulent and structurally rich financial periods in modern Indian market history, encompassing the global COVID-19 pandemic crash of March 2020, the historic bull-market recovery of April 2020 to December 2021, the global monetary tightening and correction phase of 2022, a period of domestic resilience and consolidation in 2023–2024, and a phase of cautious but broadening growth in 2025–2026. Employing a combination of descriptive statistics, sub-period analysis, GARCH (1,1) and EGARCH modelling, rolling-window realised volatility, cross-index correlation matrices, and India VIX dynamics, this paper provides a multi-dimensional empirical characterisation of risk-return behaviour across distinct market regimes and sectoral segments. Key findings include: (i) all indices exhibit highly non-normal, negatively skewed, fat-tailed daily return distributions; (ii) GARCH(1,1) volatility persistence coefficients (α + β) range from 0.9855 to 0.9890 across all indices, confirming near-integrated GARCH behaviour; (iii) EGARCH models document significant leverage effects for all indices, with Nifty Bank exhibiting the strongest asymmetry (γ = –0.1147); (iv) cumulative returns over the study period range from 53.5% (Nifty Bank) to 205.1% (Nifty Midcap 150); and (v) cross-index correlations spike dramatically during market crisis episodes, eroding in-crisis diversification benefits. The paper derives actionable implications for portfolio risk management, asset allocation strategy, and regulatory oversight in the Indian capital markets.
Keywords
Indian Stock Market, NSE Nifty 50, BSE Sensex, Volatility, GARCH, EGARCH, Return Dynamics, COVID-19, Market Risk, India VIX, Emerging Markets.
Citations
IRE Journals:
Arun Kr. Giri, Dr. Mehak Arora "Volatility and Return Dynamics of Indian Stock Market Indices" Iconic Research And Engineering Journals Volume 9 Issue 12 2026 Page 469-481 https://doi.org/10.64388/IREV9I12-1718653
IEEE:
Arun Kr. Giri, Dr. Mehak Arora
"Volatility and Return Dynamics of Indian Stock Market Indices" Iconic Research And Engineering Journals, 9(12) https://doi.org/10.64388/IREV9I12-1718653
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